Thanks for the user E-K finding out the solution.
Today, I updated to IOS5 and got the same issue.
However, I think I found the solution of the notification problem:
Settings - Notifications - Skype
- Alert Sytle(Alerts)
- Badge App Icon(ON)
- View in Lock Screen(ON)
To me, it works well. I've tested with skype for pc and see the popup notification showing "Calll from OOO."
I don't fully understand new IOS5 notifications yet, but hope this helps.